CAS Exam 7 Spring 2014, Question 3
Study guide: Exam 7
Given the following data for a Cape Cod reserve analysis:
| Accident Year | Actual Incremental Reported Losses ($000) at 12 Months | 24 Months | 36 Months |
|---|---|---|---|
| 2010 | 100 | 255 | 180 |
| 2011 | 120 | 280 | |
| 2012 | 120 |
| Accident Year | Expected Incremental Reported Losses ($000) at 12 Months | 24 Months | 36 Months |
|---|---|---|---|
| 2010 | 80 | 300 | 200 |
| 2011 | 80 | 320 | |
| 2012 | 100 |
The parameters of the loglogistic growth curve (\omega and \theta) and the expected loss ratio (ELR) were previously estimated, resulting in a total estimated reserve of $1,500,000. The parameter standard deviation of the total estimated reserve is $350,000.
Calculate the standard deviation of the reserve due to parameter and process variance combined.
Part a (1.25 points)
Answer this question and see the worked solution